PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM DENGAN MENGGUNAKAN SINGLE INDEX MODEL PADA MASA PANDEMI COVID-19

SUDARSANO, SUDARSANO (2022) PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM DENGAN MENGGUNAKAN SINGLE INDEX MODEL PADA MASA PANDEMI COVID-19. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.

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Abstract

This research aims to analyze portfolio composition, portfolio returns and risks, as well as portfolio performance during the Covid-19 pandemic. The sample data of this research uses stocks listed on the Indonesia Stock Exchange, especially the LQ45, MNC36, IDX30 and Bisnis27 indexes for the period 1 March 2020 - 31 May 2022. The research method uses the Single Index Model for optimal portfolio formation and to measure optimal portfolio performance using the Sharpe index, Treynor index and Jensen index. The results obtained that the optimal portfolio formed in the LQ45 index is 20 stocks, MNC36 is 12 stocks, IDX30 is 11 stocks and Bisnis27 is 14 stocks. The optimal portfolios that are formed all produce an expected portfolio return that is greater than the level of risk, and is higher than the market's expected return and also higher than the risk-free return. The results of the analysis of the most optimal portfolio performance during the Covid-19 pandemic, namely a portfolio formed from LQ45 index shares, this index deserves to be an investment choice for investors. Evaluation of the optimal portfolio results in realized returns greater than expected returns and also greater than risk-free returns. This research shows that the formation of an optimal portfolio during the Covid-19 pandemic using the Single Index Model provides positive returns. Penelitian ini bertujuan menganalisis komposisi portofolio, return dan risiko portofolio, serta kinerja portofolio dimasa pandemi Covid-19. Data sampel penelitian ini menggunakan saham yang tercatat di Bursa Efek Indonesia khususnya pada Indeks LQ45, MNC36, IDX30 dan Bisnis27 periode 1 Maret 2020 - 31 Mei 2022. Metode penelitian menggunakan Single Index Model untuk pembentukan portofolio optimal dan untuk mengukur kinerja portofolio optimal menggunakan metode indeks Sharpe, indeks Treynor dan indeks Jensen. Hasil penelitian diperoleh bahwa portofolio optimal yang terbentuk dalam indeks LQ45 yaitu 20 saham, MNC36 sebanyak 12 saham, IDX30 sebanyak 11 saham dan Bisnis27 sebanyak 14 saham. Portofolio optimal yang terbentuk semuanya menghasilkan expected return portofolio lebih besar dari tingkat risiko, dan lebih tinggi dari expected return pasar dan juga lebih tinggi dari pengembalian bebas risiko. Hasil analisis kinerja portofolio yang paling optimal dimasa pandemi Covid-19 yaitu portofolio yang terbentuk dari saham indeks LQ45, indeks ini layak menjadi pilihan investasi bagi investor. Evaluasi terhadap portofolio optimal menghasilkan realized return lebih besar dari expected return dan juga lebih besar dari pengembalian bebas risiko. Penelitian ini menunjukkan bahwa pembentukan portofolio optimal dimasa pandemi Covid-19 dengan menggunakan Single Index Model memberikan hasil return yang positif.

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